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1、AssetPricesinaHuggettEconomy∗PerKrusellToshihikoMukoyamaAnthonyA.Smith,Jr.October2010AbstractThispaperexplorestheasset-priceimplicationsineconomieswherethereisnodirectinsuranceagainstidiosyncraticrisksbutwherethereareotherassets—suchasariskfreebondorequity—thatcanbeusedforself-insuran
2、ce,subjecttoexogenouslyimposedborrowinglimits.Weanalyzeaneconomywithoutproduction—anendowmenteconomy—andweconsiderboththecasewithnoaggregateriskandthecasewithaggregaterisk.Thus,weanalyzetheeconomyoriginallystudied,inthecasewithoutaggregaterisk,inHuggett(1993).Ourmaininnovationisthat,b
3、ystudyingthecasewith“maximallytight”borrow-ingconstraints,wecanobtainfullanalyticaltractability.Thus,likeinLucas’s(1978)seminalasset-pricingpaper,weobtainclosedformsforallstate-contingentclaims,allowingustostudythepricedeterminationforallassetswithpayoffscontingentonaggregateevents.Int
4、heHuggetteconomythatweanalyze,likeinLucas’s,anyassetpricingisobtainedusingafirst-ordercondition,butintheHuggetteconomyonlyasubsetoftheconsumerswilltypicallyhavefirst-orderconstraintsholdingwithequality—theothersareborrowing-constrained.Thus,theanalysiscentersaroundwhopricestheassets,and
5、aroundwhattheendowmentrisksofthisagentare;intheLucaseconomy,onlytheaggregateen-dowmentriskmatters.Moreover,identity/typeoftheconsumerpricinganassetmaychangeovertime.Wespecificallyillustratebylookingatrisklessbonds,equity,andthetermstructureofinterestrates,andweshowthatthemodelwithtight
6、constraintscanreproduceobservedfeaturesofassetpriceswhenid-iosyncraticrisksarequantitativelyreasonable.∗Theauthorsacknowledgehelpfulcommentsfromparticipantsatthe2008MidwestMacroMeet-ings,attheMurrayS.JohnsonMemorialConferenceinhonorofTrumanF.Bewley,heldattheUniversityofTexasatAustinin
7、April2009,atthe“RecentDevelopmentsinMacroeconomics”con-ferenceatYonseiUniversity,aswellasfromtheeditorandtwoanonymousreferees.KrusellisattheInstituteforInternationalEconomicStudies,CAERP,CEPR,andNBER;MukoyamaisattheUniversityofVirginiaandCIREQ;SmithisatYaleUniversity.11IntroductionAre
8、someo
